In addition to Shaun's excellent suggestions, I like to turn the old adage on its head and say "every silver lining has a cloud."

You might also say "There is no light without darkness"; of course you could substitute two other related polar opposites that might be more appropriate for your subject matter. (warmth/cold, love/hate, etc.)

More prosaically, there's also "There's always a catch".

(Also, for his first suggestion, I prefer the phrasing "Not all that glitters is gold". :-) )